Neo was last found unconscious in the Real World, where his mind has been, in the Matrix World, captured by the Merovingian and taken to a Limbo state-of-mind, between the Real World and the Matrix World. He confronts a program that speaks only of love and religion, something that Neo realizes has never been the case before with a program. He stated that he went back to the Matrix to rescue his daughter, Sati (the last exile before the war between Man and Machine was going to start and end). Based on his karma, he was supposed to return to his world and leave Sati with the Oracle. Trinity and Morpheus were last seen left on the Hammer, one of the ships that were escorted from Zion in search of the Nebuchadneezer (Morpheus's hip), which had just recently exploded. They receive a call from Seraph, and they must meet the Oracle at once.
The Oracle is now a different person (Mary Alice has taken the role of the Oracle since the great Gloria Foster had passed away during the production of this movie), yet her link as the Oracle in the Matrix is still very well the same. The movie explains that because of her choice to help Neo and the others, there was a consequence. The Oracle let them know where to find Neo, and he's been held as a prisoner in the Limbo state by the Merovingian. After a brutal attack at a rave party, Neo is rescued, and asked to see the Oracle before all time ran out. The rest of the movie concerns on Neo's quest to the Machine City (because he beleive's that's where he needs to go to end this war), and the rest is basically the war; Zion vs Sentinals. It is a brutal battle, where the Sentinals basically slaughter most of Zion's bottleneck war house before a final dig into Zion's mainframe, when Neo confronts the Deus Ex Machina and warns him of Smith's authority to take over every world, and promises to protect the Machine world as long as Zion and the Machines could make peace.
The end of the movie happens to be a spectacular fight between Neo and Smith, two Gods, in a heavy rainfall. Great CGI effects to lend you through the rest of the way.